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Understanding changes in corporate credit spreads
New evidence is reported on the empirical success of structural models in explaining changes in corporate credit risk. A parsimonious set of common factors and company-level fundamentals, inspired by structural models, was found to explain more than 54 percent (67 percent) of the variation in credit-spread changes for medium-grade (low-grade) bonds. No dominant latent factor was present in the unexplained variation. Although this set of factors had lower explanatory power among high-grade bonds, it did capture most of the systematic variation in credit-spread changes in that category. It also subsumed the explanatory power of the Fama and French factors among all grade classes.
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| FAJ6302 | PSB lt.dasar - Pascasarjana | 2 |
| Penerbit | Virginia: CFA Institute 2007 |
|---|---|
| Edisi | Vol. 63, No. 2, Mar. - Apr., 2007 |
| Subjek | Corporate bonds Idiosyncratic volatility credit spreads structural models Fama-French factors |
| ISBN/ISSN | 0015198X |
| Klasifikasi | NONE |
| Deskripsi Fisik | 16 p. |
| Info Detail Spesifik | Financial Analysts Journal |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas |